Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 05 (1D) | Nov 06 (2D) | Nov 07 (3D) | Nov 10 (6D) | Nov 11 (7D) | Nov 12 (8D) | Nov 13 (9D) | Nov 14 (10D) | Nov 17 (13D) | Nov 18 (14D) | Nov 21 (17D) | Nov 28 (24D) | Dec 05 (31D) | Dec 12 (38D) | Dec 19 (45D) | Dec 26 (52D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 671.828 | 669.152 | 667.098 | 662.462 | 661.194 | 660.014 | 658.905 | 657.857 | 654.992 | 654.113 | 651.648 | 646.635 | 642.313 | 638.458 | 634.944 | 631.695 |
| upper | 684.752 | 687.428 | 689.482 | 694.118 | 695.386 | 696.566 | 697.675 | 698.723 | 701.588 | 702.467 | 704.932 | 709.945 | 714.267 | 718.122 | 721.636 | 724.885 |
| expected move | 6.462 | 9.138 | 11.192 | 15.828 | 17.096 | 18.276 | 19.385 | 20.433 | 23.298 | 24.177 | 26.642 | 31.655 | 35.977 | 39.832 | 43.346 | 46.595 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
